Futures Implied Yield

Posted by digiplant on Sep 03, 2010; 3:47pm
URL: http://quantlib.414.s1.nabble.com/Futures-Implied-Yield-tp14.html

Hello.  I am attempting to compute the implied yield of a treasury futures contract, but I really have no idea where to start.  For example, i'm unclear if I should be using FuturesRateHelper or ForwardRate and applying my own convexity correction somehow.  Can anyone offer suggestions?  The ideal case would be an example starting with only the contract price, tenor, and expiration.

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